An Introduction to Applied Multiple Time Series Analysis.
WISCONSIN UNIV-MADISON DEPT OF STATISTICS
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An approach to the modelling and analysis of multiple time series is proposed. Properties of a class of vector autoregressive moving average models are discussed. Modelling procedures consisting of tentative specification, estimation and diagnostic checking are outlined and illustrated by three real examples. Various eigenvalue-eigenvector analyses are presented and some alternative approaches to multiple time series are briefly discussed. Author
- Statistics and Probability